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Wiener–Hopf factorization and distribution of extrema for a family of Lévy processes

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2009VALUATION OF CONTINUOUSLY MONITORED DOUBLE BARRIER OPTIONS AND RELATED SECURITIES60 cited
2013Pricing discrete barrier options and credit default swaps under Lévy processes

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47 cited

2013Suprema of Lévy processes47 cited

2013EFFICIENT LAPLACE INVERSION, WIENER-HOPF FACTORIZATION AND PRICING LOOKBACKS44 cited

2013Multilevel Monte Carlo simulation for Lévy processes based on the Wiener–Hopf factorisation42 cited

2014METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES38 cited

2016Inventory Control for Spectrally Positive Lévy Demand Processes37 cited

2018Fluctuation identities with continuous monitoring and their application to the pricing of barrier options32 cited

2014Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method30 cited

2019Static and Semi-Static Hedging as Contrarian or Conformist Bets29 cited